| 一般相依索赔离散风险模型的破产概率渐近估计及数值模拟 |
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| 引用本文： | 张晋源,彭江艳,井浩杰.一般相依索赔离散风险模型的破产概率渐近估计及数值模拟[J].数学的实践与认识,2020(5):104-111. |
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| 作者姓名： | 张晋源 彭江艳 井浩杰 |
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| 作者单位： | 电子科技大学数学科学学院 |
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| 基金项目： | 国家自然科学基金(71871046,71501025);四川省科技厅应用基础计划项目(2016JY0257)。 |
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| 摘 要： | 研究一类具有利率和相依索赔额的离散风险模型.在模型中,索赔额服从具有独立同分布步长的单边线性过程,贴现因子具有关于利率与时间的一般函数形式.在步长服从重尾分布的条件下,得到了最终破产概率的渐近估计.并通过具体实例分析利率对破产概率的影响.
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| 关 键 词： | 最终破产概率 离散风险模型 渐近估计 贴现因子 |
Asymptotic and Numerical Simulation for Ruin Probabilities of a General Discrete-time Risk Model |
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| ZHANG Jin-yuan,PENG Jiang-yan,JING Hao-jie.Asymptotic and Numerical Simulation for Ruin Probabilities of a General Discrete-time Risk Model[J].Mathematics in Practice and Theory,2020(5):104-111. |
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| Authors: | ZHANG Jin-yuan PENG Jiang-yan JING Hao-jie |
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| Institution: | (School of Mathematical Sciences,University of Electronic Science and Technology of China,Chengdu 611731,China) |
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| Abstract: | Study on a class of discrete risk model considering constant rate and dependent claims.In the model,the claims are assumed to follow a one-sided linear process with independent and identically distributed innovations,and the discount factor has a general functional form with respect to the constant interest rate and time.Under the condition that the step length obeys the heavy tail distribution,the asymptotic estimation of the final ruin probability is obtained,and the effect of the interest rate on the ruin probability is analyzed by a concrete example. |
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| Keywords: | ruin probability discrete-time risk model asymptotic discount factor |
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